This paper by Amundi introduces a detailed framework for structuring and modeling blended finance vehicles, with emphasis on credit risk assessment, tranche calibration, portfolio diversification, cash flow design, and risk premium evaluation.
Using Monte Carlo simulations, it illustrates the sensitivity of tranche performance to different structural parameters. The analysis delves into the junior–senior structure and explores approaches for optimal design.
Beyond the technical modeling, the paper also considers broader challenges such as currency risk, transparency, and market scalability.
Overall, the findings clarify the mechanics of blended finance and underscore its potential to advance sustainable investment in emerging and higher-risk markets.
